RT Report
T1 Volatility Spillovers from the US to Australia and China across the GFC
A1 Allen, David E.
A1 McAleer, Michael
A1 Powell, R. J.
A1 Singh, A. K.
AB This paper features an analysis of volatility spillover eects from the US market, represented bythe S&P500 index to the Australian capital market as represented by the Australian S&P200 fora period running from 12th September 2002 to 9th September 2012. This captures the impact ofthe Global Financial Crisis (GFC). The GARCH analysis features an exploration of whether thereare any spillover eects in the mean equations as well as in the variance equations. We adopt abi-mean equation to model the conditional mean in the Australian markets plus an ARMA modelto capture volatility spillovers from the US. We also apply a Markov Switching GARCH model toexplore the existence of regime changes during this period and we also explore the non-constancyof correlations between the markets and apply a moving window of 120 days of daily observationsto explore time-varying conditional and tted correlations. There appears to be strong evidence ofregime switching behaviour in the Australian market and changes in correlations between the twomarkets particularly in the period of the GFC. We also apply a tri-variate Cholesky-GARCH modelto include potential eects from the Chinese market, as represented by the Hang Seng Index
YR 2012
FD 2012-12
LK https://hdl.handle.net/20.500.14352/49130
UL https://hdl.handle.net/20.500.14352/49130
LA eng
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NO Australian Research Council
NO National Science Council, Taiwan
NO Japan Society for the Promotion of Science.
DS Docta Complutense
RD 30 abr 2024